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Bailey McCann, Opalesque New York for New Managers:

Despite ongoing uncertainty around the war in Iran, markets largely bounced back in April and May. That rebound boosted hedge fund performance, particularly among those with commodities exposure that took a hit in March.

Typhon Capital's Athena Quantitative program was one such fund. The Athena Quantitative Fund returned +6.53% in April, up from -4.05% in March, bringing year-to-date performance to +3.13%.

The program is a low frequency, market neutral strategy that captures alpha from volatility inefficiency and time decay. The program consists of two main systematic option strategies: calendar spreads and broken wing butterflies. The strategy benefits from collecting time-value and volatility-premiums paid by option buyers. The program is led by portfolio manager Alessandro Barcelloni Corte and Guido Bonotto who leads research and development. Both are run the strategy within the Typhon multi-strategy platform.

According to a letter to investors reviewed by Opalesque, Athena's rebound in April came with significantly lower exposure than the program had in March. Following the March drawdown, exposure was reduced to prioritize capital preservation. Then, when the broader market environment improved during April, both realized and implied volatility retreated as markets stabilized. Lower volatility supported the program's reboun......................

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